46. For the purposes of paragraph 45 and in order to recognise the effects of multiple credit risk …

For the purposes of paragraph 45 and in order to recognise the effects of multiple credit risk mitigation techniques in accordance with the approaches specified in paragraph 31, all of the following conditions should be met:

• (a) Institutions should have clear policies for the allocation, sequence and recognition of funded and unfunded credit protection that are consistent with the internal recovery and collection process.
• (b) Institutions should not recognise the effects of the same credit risk mitigation twice; for example, in allocating the funded credit protection between the part of the exposure covered by the unfunded credit protection and the part of the exposure that is not covered by the unfunded credit protection, double recognition of the funded credit protection should not be allowed.
• (c) Institutions should apply the approaches consistently; therefore:
• (i) Splitting the part of the exposure covered by a given unfunded credit protection into two parts and applying to one part the substitution of risk parameters approach or substitution of risk weight approach and to the other part the modelling approach should not be allowed.
• (ii) In cases of multiple unfunded credit protections that are, at least partially, covering the same part of the exposure, institutions should establish appropriate criteria to choose which unfunded credit protection to use for the purposes of substituting the risk parameters. Such criteria should be described in the internal policies specified by institutions for adjusting PD and LGD estimates in accordance with paragraph 38. Without prejudice to sub-point (i), institutions are allowed to split the part of the exposure covered by a given unfunded credit protection into two parts and apply to one part the substitution of risk parameters approach while recognising the effects of the remaining part of the given unfunded credit protection in the application of the substitution of risk parameters approach to the other existing unfunded credit protections; in particular, the risk mitigation effect of the remaining part of the given unfunded credit protection may be considered in the LGD of comparable direct exposures to the other existing guarantors in accordance with paragraph 47.

1. Forbhreathnú

1.1 Tagairtí

1.2 Ceanglais aitheanta

1.3 Caighdeáin ghaolmhara

2. Ceanglais aitheanta

3. Caighdeáin ghaolmhara

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